Trend-Following Backtester · Guide · backtest 한국어
equity · SE
SSAB AB Class A backtest
10 trend-following strategies were compared on the full daily history of SSAB AB Class A. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.6%, MDD -50.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.7%, drawdown -93.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.7%, MDD -59.7%, Sharpe 0.55, 70% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 11.6%, MDD -50.5%, exposure 58%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=43, exitN=79 |
12.7% | -59.7% | 0.55 | 0.21 | 24.2x | 43 | 70% |
| ROC 모멘텀 n=86, threshold=0 |
11.6% | -50.5% | 0.54 | 0.23 | 18.4x | 213 | 58% |
| SMA 크로스오버 fast=43, slow=119 |
10.3% | -56.1% | 0.49 | 0.18 | 13.4x | 47 | 59% |
| EMA 크로스오버 fast=45, slow=68 |
9.4% | -58.3% | 0.47 | 0.16 | 10.8x | 51 | 60% |
| Supertrend period=11, mult=2.6 |
6.5% | -64.9% | 0.37 | 0.10 | 5.3x | 231 | 50% |
| MACD fast=22, slow=68, signal=21 |
3.0% | -64.5% | 0.24 | 0.05 | 2.2x | 244 | 51% |
| 볼린저 밴드 돌파 n=34, k=2.3 |
2.1% | -58.0% | 0.20 | 0.04 | 1.7x | 132 | 28% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=28, mult=1.9 |
1.6% | -67.9% | 0.18 | 0.02 | 1.5x | 161 | 41% |
| ADX / DI 방향성 period=33, threshold=22 |
0.9% | -49.1% | 0.14 | 0.02 | 1.3x | 52 | 10% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-0.3% | -75.2% | 0.12 | -0.00 | 0.9x | 233 | 52% |
| Buy and hold | 4.7% | -93.9% | 0.31 | 0.05 | 3.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 43 days
- Sell — Sell when price breaks below the lowest low of the last 79 days